moms Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 1.599840 | 27.369760 | 12.262708 | 5.644803 | 69012 | 20.22792 |
| 2 | 12.329328 | 56.461240 | 32.135057 | 8.824386 | 68040 | 19.94302 |
| 3 | 24.904000 | 116.837556 | 65.093407 | 18.022221 | 68040 | 19.94302 |
| 4 | 54.177200 | 226.179800 | 129.964981 | 34.922625 | 68040 | 19.94302 |
| 5 | 110.470800 | 4200.398400 | 450.437476 | 542.811510 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | 0.011 | 0.011 | 0.002 |
| IC Std. | 0.111 | 0.103 | 0.100 |
| Risk-Adjusted IC | 0.102 | 0.103 | 0.019 |
| t-stat(IC) | 3.166 | 3.199 | 0.584 |
| p-value(IC) | 0.002 | 0.001 | 0.559 |
| IC Skew | 0.010 | -0.058 | -0.176 |
| IC Kurtosis | -0.508 | -0.402 | -0.582 |
| IC>0 Prob | 0.542 | 0.556 | 0.523 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.102 | -0.079 | -0.056 |
| beta | 1.066 | 1.008 | 0.928 |
| Ann. alpha (000300 based) | -0.102 | -0.079 | -0.056 |
| beta (000300 based) | 1.066 | 1.008 | 0.928 |
| Mean Period Wise RateReturn Top Quantile (bps) | 5.739 | 5.437 | 4.789 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 14.856 | 12.960 | 11.530 |
| Mean Period Wise Spread (bps) | -9.117 | -7.668 | -6.528 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.440888 | -0.195723 | 2.810042 | 4.557113 | 2.252611 |
| 2 | 0.302410 | -0.217942 | 1.997670 | 2.916275 | 1.387567 |
| 3 | 0.243388 | -0.179549 | 1.599684 | 2.298423 | 1.355554 |
| 4 | 0.189768 | -0.212058 | 1.293379 | 1.816848 | 0.894887 |
| 5 | 0.135819 | -0.250690 | 0.779567 | 1.092680 | 0.541783 |
| Factor_Weighted Return | 0.148096 | -0.224396 | 0.983684 | 1.381185 | 0.659976 |
| Top_minus_Bottom Return | -0.212764 | -0.614759 | -1.679228 | -2.176536 | -0.346093 |
| Top_minus_Index Return | -0.094926 | -0.333253 | -1.248380 | -1.664902 | -0.284848 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 1.080637 | 6.369511 | -0.169658 | 4.822907 | 9.286233 |
| 2 | 0.683006 | 4.825398 | -0.141544 | 3.486968 | 5.778685 | |
| 3 | 0.419675 | 2.337389 | -0.179549 | 2.330866 | 3.632759 | |
| 4 | 0.418043 | 1.985197 | -0.210580 | 2.485791 | 3.790304 | |
| 5 | 0.254760 | 1.016237 | -0.250690 | 1.235775 | 1.784959 | |
| 2011-12-31 | 1 | 0.137771 | 0.703909 | -0.195723 | 1.092345 | 1.488494 |
| 2 | 0.106066 | 0.486669 | -0.217942 | 0.798623 | 1.040860 | |
| 3 | 0.130665 | 0.735504 | -0.177654 | 0.921372 | 1.221151 | |
| 4 | 0.020897 | 0.098543 | -0.212058 | 0.213194 | 0.275699 | |
| 5 | 0.023920 | 0.097645 | -0.244967 | 0.220592 | 0.293865 | |
| 2012-12-31 | 1 | 0.203733 | 2.669943 | -0.076306 | 1.835494 | 2.793015 |
| 2 | 0.146484 | 1.460254 | -0.100314 | 1.339284 | 1.887659 | |
| 3 | 0.182053 | 1.916203 | -0.095007 | 1.478650 | 2.136505 | |
| 4 | 0.157902 | 1.634696 | -0.096594 | 1.236041 | 1.809672 | |
| 5 | 0.146330 | 1.286196 | -0.113770 | 0.914575 | 1.337043 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | 0.308068 | 1.372874 | -0.224396 | 1.782711 | 2.632940 |
| Top_minus_Bottom Return | -0.400007 | -0.759418 | -0.526729 | -3.258598 | -3.868738 | |
| Top_minus_Index Return | -0.187299 | -0.692879 | -0.270321 | -2.318775 | -2.932861 | |
| 2011-12-31 | Factor_Weighted Return | 0.026250 | 0.117844 | -0.222754 | 0.243179 | 0.321289 |
| Top_minus_Bottom Return | -0.099209 | -0.537781 | -0.184478 | -0.744399 | -1.036516 | |
| Top_minus_Index Return | -0.051318 | -0.510749 | -0.100476 | -0.685606 | -0.945158 | |
| 2012-12-31 | Factor_Weighted Return | 0.122581 | 1.279054 | -0.095838 | 0.926970 | 1.351732 |
| Top_minus_Bottom Return | -0.046957 | -0.486084 | -0.096602 | -0.339753 | -0.487266 | |
| Top_minus_Index Return | -0.014606 | -0.309276 | -0.047227 | -0.185610 | -0.268306 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.004 | 0.020 | 0.042 |
| Quantile 2 Mean Turnover | 0.008 | 0.043 | 0.093 |
| Quantile 3 Mean Turnover | 0.009 | 0.043 | 0.094 |
| Quantile 4 Mean Turnover | 0.007 | 0.037 | 0.082 |
| Quantile 5 Mean Turnover | 0.003 | 0.017 | 0.037 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 1.0 | 0.999 | 0.997 |
max52s Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | -0.931351 | -1.529843e-01 | -0.425866 | 0.165502 | 69012 | 20.22792 |
| 2 | -0.635083 | -7.225271e-02 | -0.254571 | 0.126927 | 68040 | 19.94302 |
| 3 | -0.532640 | -3.823810e-02 | -0.178573 | 0.109297 | 68040 | 19.94302 |
| 4 | -0.404570 | -1.323252e-02 | -0.115129 | 0.086571 | 68040 | 19.94302 |
| 5 | -0.297896 | 1.371125e-15 | -0.049568 | 0.056087 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | 0.012 | 0.016 | 0.017 |
| IC Std. | 0.099 | 0.133 | 0.167 |
| Risk-Adjusted IC | 0.126 | 0.117 | 0.100 |
| t-stat(IC) | 3.931 | 3.643 | 3.104 |
| p-value(IC) | 0.000 | 0.000 | 0.002 |
| IC Skew | -0.122 | -0.189 | -0.843 |
| IC Kurtosis | 0.498 | 0.220 | 0.780 |
| IC>0 Prob | 0.569 | 0.585 | 0.619 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.005 | 0.009 | 0.035 |
| beta | -1.074 | -1.107 | -1.168 |
| Ann. alpha (000300 based) | -0.005 | 0.009 | 0.035 |
| beta (000300 based) | -1.074 | -1.107 | -1.168 |
| Mean Period Wise RateReturn Top Quantile (bps) | 5.924 | 5.603 | 5.794 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 14.175 | 12.730 | 10.176 |
| Mean Period Wise Spread (bps) | -8.251 | -6.534 | -3.346 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.403412 | -0.289708 | 1.873946 | 2.984648 | 1.392477 |
| 2 | 0.282782 | -0.243091 | 1.627064 | 2.385060 | 1.163278 |
| 3 | 0.227211 | -0.202870 | 1.577226 | 2.232282 | 1.119986 |
| 4 | 0.238865 | -0.161729 | 1.748524 | 2.488664 | 1.476947 |
| 5 | 0.151868 | -0.181243 | 1.193270 | 1.617107 | 0.837928 |
| Factor_Weighted Return | -0.241064 | -0.695053 | -1.769793 | -2.370525 | -0.346829 |
| Top_minus_Bottom Return | -0.195648 | -0.629492 | -1.498235 | -1.839739 | -0.310803 |
| Top_minus_Index Return | -0.089810 | -0.352616 | -1.449898 | -1.854891 | -0.254696 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 1.227048 | 4.798009 | -0.255741 | 3.693691 | 6.832476 |
| 2 | 0.652600 | 3.190976 | -0.204514 | 2.947985 | 4.832336 | |
| 3 | 0.456940 | 2.478219 | -0.184382 | 2.724638 | 4.197524 | |
| 4 | 0.366936 | 2.355236 | -0.155796 | 2.453676 | 3.719169 | |
| 5 | 0.203241 | 1.400631 | -0.145107 | 1.454617 | 2.056292 | |
| 2011-12-31 | 1 | 0.028872 | 0.099659 | -0.289708 | 0.253251 | 0.341152 |
| 2 | 0.071909 | 0.295811 | -0.243091 | 0.511803 | 0.672258 | |
| 3 | 0.080150 | 0.395081 | -0.202870 | 0.618443 | 0.807127 | |
| 4 | 0.166781 | 1.031237 | -0.161729 | 1.192821 | 1.609147 | |
| 5 | 0.072490 | 0.399963 | -0.181243 | 0.591323 | 0.755960 | |
| 2012-12-31 | 1 | 0.141959 | 1.033478 | -0.137361 | 0.896503 | 1.337380 |
| 2 | 0.161246 | 1.468593 | -0.109796 | 1.168415 | 1.715921 | |
| 3 | 0.157275 | 1.627275 | -0.096650 | 1.302991 | 1.876511 | |
| 4 | 0.174963 | 2.172119 | -0.080550 | 1.595025 | 2.296773 | |
| 5 | 0.201202 | 3.327365 | -0.060469 | 1.930290 | 2.804644 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | -0.440582 | -0.729168 | -0.604225 | -3.470086 | -4.173546 |
| Top_minus_Bottom Return | -0.476492 | -0.793846 | -0.600232 | -3.847249 | -4.233587 | |
| Top_minus_Index Return | -0.228258 | -0.740834 | -0.308110 | -3.627859 | -4.121535 | |
| 2011-12-31 | Factor_Weighted Return | -0.063120 | -0.215081 | -0.293473 | -0.377419 | -0.586443 |
| Top_minus_Bottom Return | 0.029905 | 0.296932 | -0.100713 | 0.310785 | 0.443642 | |
| Top_minus_Index Return | -0.013569 | -0.178425 | -0.076048 | -0.200274 | -0.288411 | |
| 2012-12-31 | Factor_Weighted Return | -0.137398 | -0.663991 | -0.206927 | -1.055634 | -1.438860 |
| Top_minus_Bottom Return | 0.035308 | 0.228751 | -0.154349 | 0.345028 | 0.470688 | |
| Top_minus_Index Return | 0.024373 | 0.357364 | -0.068204 | 0.455824 | 0.649139 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.018 | 0.089 | 0.200 |
| Quantile 2 Mean Turnover | 0.049 | 0.243 | 0.476 |
| Quantile 3 Mean Turnover | 0.065 | 0.327 | 0.572 |
| Quantile 4 Mean Turnover | 0.072 | 0.361 | 0.573 |
| Quantile 5 Mean Turnover | 0.042 | 0.209 | 0.405 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.991 | 0.954 | 0.829 |
min52s Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 0.000000 | 0.326824 | 0.088091 | 0.069308 | 69012 | 20.22792 |
| 2 | 0.012791 | 0.599535 | 0.221594 | 0.119560 | 68040 | 19.94302 |
| 3 | 0.051699 | 0.946568 | 0.366506 | 0.190479 | 68040 | 19.94302 |
| 4 | 0.115043 | 1.535131 | 0.566304 | 0.295962 | 68040 | 19.94302 |
| 5 | 0.226201 | 15.800235 | 1.234744 | 1.207803 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | 0.001 | 0.003 | 0.008 |
| IC Std. | 0.113 | 0.135 | 0.117 |
| Risk-Adjusted IC | 0.005 | 0.022 | 0.073 |
| t-stat(IC) | 0.154 | 0.677 | 2.260 |
| p-value(IC) | 0.878 | 0.499 | 0.024 |
| IC Skew | -0.329 | -0.217 | -0.172 |
| IC Kurtosis | 0.343 | 0.389 | -0.309 |
| IC>0 Prob | 0.519 | 0.524 | 0.557 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.023 | -0.007 | 0.014 |
| beta | 1.196 | 1.149 | 1.091 |
| Ann. alpha (000300 based) | -0.023 | -0.007 | 0.014 |
| beta (000300 based) | 1.196 | 1.149 | 1.091 |
| Mean Period Wise RateReturn Top Quantile (bps) | 9.592 | 9.046 | 8.520 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 9.511 | 8.166 | 6.238 |
| Mean Period Wise Spread (bps) | 0.081 | 0.432 | 1.961 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.262460 | -0.212548 | 2.097394 | 3.233601 | 1.234831 |
| 2 | 0.217702 | -0.210248 | 1.662270 | 2.450506 | 1.035452 |
| 3 | 0.265509 | -0.214104 | 1.703122 | 2.469524 | 1.240094 |
| 4 | 0.298944 | -0.217911 | 1.704481 | 2.470201 | 1.371859 |
| 5 | 0.249685 | -0.241291 | 1.250625 | 1.758646 | 1.034789 |
| Factor_Weighted Return | 0.286164 | -0.207076 | 1.583373 | 2.252938 | 1.381928 |
| Top_minus_Bottom Return | -0.008076 | -0.242186 | 0.014310 | 0.019686 | -0.033346 |
| Top_minus_Index Return | -0.002921 | -0.156898 | 0.004700 | 0.006573 | -0.018617 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 0.572111 | 4.133123 | -0.138421 | 3.968927 | 7.100373 |
| 2 | 0.468922 | 3.040559 | -0.154222 | 3.102266 | 5.232713 | |
| 3 | 0.518428 | 2.633893 | -0.196829 | 2.701797 | 4.336103 | |
| 4 | 0.620131 | 2.845794 | -0.217911 | 2.791376 | 4.369185 | |
| 5 | 0.561315 | 2.326298 | -0.241291 | 2.128464 | 3.205915 | |
| 2011-12-31 | 1 | 0.038648 | 0.181831 | -0.212548 | 0.372320 | 0.503759 |
| 2 | 0.051611 | 0.245475 | -0.210248 | 0.447920 | 0.594797 | |
| 3 | 0.098195 | 0.458631 | -0.214104 | 0.724129 | 0.944251 | |
| 4 | 0.138724 | 0.679164 | -0.204257 | 0.908108 | 1.218598 | |
| 5 | 0.090434 | 0.395557 | -0.228625 | 0.556526 | 0.729957 | |
| 2012-12-31 | 1 | 0.227193 | 2.836061 | -0.080109 | 2.140061 | 3.514413 |
| 2 | 0.153987 | 2.102352 | -0.073245 | 1.452676 | 2.169371 | |
| 3 | 0.200010 | 2.064706 | -0.096871 | 1.572781 | 2.304463 | |
| 4 | 0.148235 | 1.416671 | -0.104636 | 1.064903 | 1.512201 | |
| 5 | 0.109587 | 0.797258 | -0.137455 | 0.747269 | 1.019992 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | 0.658614 | 3.291934 | -0.200069 | 2.717491 | 4.197975 |
| Top_minus_Bottom Return | -0.004372 | -0.021316 | -0.205099 | 0.061943 | 0.086194 | |
| Top_minus_Index Return | 0.015003 | 0.132477 | -0.113253 | 0.199259 | 0.283455 | |
| 2011-12-31 | Factor_Weighted Return | 0.086915 | 0.423489 | -0.205235 | 0.592467 | 0.768138 |
| Top_minus_Bottom Return | 0.052426 | 0.431904 | -0.121383 | 0.471468 | 0.655818 | |
| Top_minus_Index Return | 0.010661 | 0.139847 | -0.076233 | 0.179228 | 0.251143 | |
| 2012-12-31 | Factor_Weighted Return | 0.143672 | 1.307891 | -0.109850 | 1.095102 | 1.535058 |
| Top_minus_Bottom Return | -0.095047 | -0.478904 | -0.198469 | -0.828970 | -1.083111 | |
| Top_minus_Index Return | -0.046982 | -0.409126 | -0.114836 | -0.787637 | -1.033749 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.029 | 0.144 | 0.301 |
| Quantile 2 Mean Turnover | 0.055 | 0.273 | 0.488 |
| Quantile 3 Mean Turnover | 0.055 | 0.274 | 0.492 |
| Quantile 4 Mean Turnover | 0.044 | 0.222 | 0.438 |
| Quantile 5 Mean Turnover | 0.018 | 0.091 | 0.212 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.993 | 0.966 | 0.867 |
ccis Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | -5.507977e+15 | 8.395839e+01 | -4.798779e+11 | 4.746502e+13 | 69012 | 20.22792 |
| 2 | -1.502802e+02 | 1.615266e+02 | -4.654791e+00 | 3.263332e+01 | 68040 | 19.94302 |
| 3 | -3.929867e+01 | 2.156398e+02 | 4.794633e+01 | 2.452098e+01 | 68040 | 19.94302 |
| 4 | 1.130948e+01 | 3.268411e+02 | 1.049851e+02 | 3.515260e+01 | 68040 | 19.94302 |
| 5 | 4.989641e+01 | 9.541894e+06 | 1.880721e+03 | 8.281228e+04 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | -0.001 | -0.006 | -0.007 |
| IC Std. | 0.058 | 0.061 | 0.060 |
| Risk-Adjusted IC | -0.025 | -0.093 | -0.112 |
| t-stat(IC) | -0.785 | -2.892 | -3.503 |
| p-value(IC) | 0.432 | 0.004 | 0.000 |
| IC Skew | 0.047 | 0.080 | -0.006 |
| IC Kurtosis | -0.083 | -0.404 | 0.337 |
| IC>0 Prob | 0.490 | 0.448 | 0.433 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.059 | -0.028 | -0.012 |
| beta | 0.083 | 0.060 | 0.027 |
| Ann. alpha (000300 based) | -0.059 | -0.028 | -0.012 |
| beta (000300 based) | 0.083 | 0.060 | 0.027 |
| Mean Period Wise RateReturn Top Quantile (bps) | 8.067 | 7.402 | 7.176 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 10.033 | 9.544 | 8.417 |
| Mean Period Wise Spread (bps) | -1.966 | -2.131 | -1.218 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.275005 | -0.223019 | 1.810472 | 2.643038 | 1.233103 |
| 2 | 0.286558 | -0.217555 | 1.824336 | 2.705572 | 1.317177 |
| 3 | 0.261101 | -0.237820 | 1.601539 | 2.316537 | 1.097895 |
| 4 | 0.262305 | -0.205023 | 1.627698 | 2.340814 | 1.279394 |
| 5 | 0.213315 | -0.218712 | 1.449307 | 2.069100 | 0.975322 |
| Factor_Weighted Return | -0.054754 | -0.378827 | -0.235598 | -0.311654 | -0.144536 |
| Top_minus_Bottom Return | -0.051281 | -0.246223 | -0.630004 | -0.870467 | -0.208271 |
| Top_minus_Index Return | -0.038633 | -0.168912 | -0.736851 | -0.999088 | -0.228715 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 0.462504 | 2.073831 | -0.223019 | 2.536076 | 3.840592 |
| 2 | 0.736237 | 3.798862 | -0.193805 | 3.571808 | 6.038110 | |
| 3 | 0.571352 | 3.956726 | -0.144400 | 2.795337 | 4.486665 | |
| 4 | 0.570822 | 2.817785 | -0.202578 | 2.893848 | 4.573114 | |
| 5 | 0.423845 | 2.250619 | -0.188324 | 2.425658 | 3.812476 | |
| 2011-12-31 | 1 | 0.124473 | 0.685426 | -0.181600 | 0.941127 | 1.281390 |
| 2 | 0.020812 | 0.095663 | -0.217555 | 0.214671 | 0.283151 | |
| 3 | 0.129319 | 0.566627 | -0.228226 | 0.865391 | 1.146740 | |
| 4 | 0.091962 | 0.449375 | -0.204645 | 0.646778 | 0.853712 | |
| 5 | 0.053899 | 0.246438 | -0.218712 | 0.441198 | 0.563443 | |
| 2012-12-31 | 1 | 0.259176 | 2.916818 | -0.088856 | 1.928078 | 2.960884 |
| 2 | 0.175544 | 1.685060 | -0.104177 | 1.459764 | 2.101822 | |
| 3 | 0.082245 | 0.804819 | -0.102190 | 0.702402 | 0.982037 | |
| 4 | 0.141495 | 1.302629 | -0.108623 | 1.122180 | 1.610007 | |
| 5 | 0.185926 | 1.802799 | -0.103132 | 1.470185 | 2.222392 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | -0.166065 | -0.498405 | -0.333193 | -0.694786 | -0.893297 |
| Top_minus_Bottom Return | -0.031213 | -0.234851 | -0.132908 | -0.299836 | -0.424178 | |
| Top_minus_Index Return | -0.083753 | -0.543292 | -0.154159 | -1.391966 | -1.833315 | |
| 2011-12-31 | Factor_Weighted Return | -0.026486 | -0.133581 | -0.198279 | -0.114719 | -0.151285 |
| Top_minus_Bottom Return | -0.064068 | -0.584377 | -0.109634 | -0.907385 | -1.214044 | |
| Top_minus_Index Return | -0.028925 | -0.506863 | -0.057067 | -0.591764 | -0.804216 | |
| 2012-12-31 | Factor_Weighted Return | 0.082835 | 0.688723 | -0.120273 | 0.696200 | 1.088824 |
| Top_minus_Bottom Return | -0.060795 | -0.550557 | -0.110425 | -0.864416 | -1.190415 | |
| Top_minus_Index Return | 0.014685 | 0.312972 | -0.046921 | 0.378701 | 0.568144 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.147 | 0.736 | 0.799 |
| Quantile 2 Mean Turnover | 0.159 | 0.797 | 0.801 |
| Quantile 3 Mean Turnover | 0.153 | 0.764 | 0.805 |
| Quantile 4 Mean Turnover | 0.153 | 0.767 | 0.798 |
| Quantile 5 Mean Turnover | 0.157 | 0.783 | 0.799 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.806 | 0.027 | -0.003 |
Ks Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 0.000000 | 55.615454 | 18.470597 | 10.420565 | 69012 | 20.22792 |
| 2 | 7.444444 | 69.108325 | 37.625986 | 12.191434 | 68040 | 19.94302 |
| 3 | 12.899685 | 81.088332 | 52.109728 | 13.827268 | 68040 | 19.94302 |
| 4 | 18.395241 | 89.465103 | 65.706066 | 13.421904 | 68040 | 19.94302 |
| 5 | 27.281585 | 100.000000 | 82.396283 | 10.872758 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | -0.000 | -0.005 | -0.008 |
| IC Std. | 0.083 | 0.092 | 0.089 |
| Risk-Adjusted IC | -0.003 | -0.055 | -0.092 |
| t-stat(IC) | -0.108 | -1.720 | -2.877 |
| p-value(IC) | 0.914 | 0.086 | 0.004 |
| IC Skew | -0.104 | -0.194 | -0.098 |
| IC Kurtosis | 0.080 | 0.432 | 0.696 |
| IC>0 Prob | 0.498 | 0.489 | 0.458 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.023 | -0.016 | -0.004 |
| beta | 1.014 | 1.007 | 0.999 |
| Ann. alpha (000300 based) | -0.023 | -0.016 | -0.004 |
| beta (000300 based) | 1.014 | 1.007 | 0.999 |
| Mean Period Wise RateReturn Top Quantile (bps) | 5.639 | 6.043 | 7.081 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 9.986 | 9.122 | 8.077 |
| Mean Period Wise Spread (bps) | -4.347 | -3.161 | -1.066 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.275687 | -0.222728 | 1.982372 | 2.972386 | 1.237773 |
| 2 | 0.341881 | -0.197694 | 2.024077 | 3.042103 | 1.729346 |
| 3 | 0.329208 | -0.204861 | 1.930616 | 2.864403 | 1.606985 |
| 4 | 0.219370 | -0.239151 | 1.349226 | 1.897634 | 0.917287 |
| 5 | 0.140512 | -0.214235 | 0.977521 | 1.341886 | 0.655881 |
| Factor_Weighted Return | 0.236316 | -0.200531 | 1.596097 | 2.255621 | 1.178447 |
| Top_minus_Bottom Return | -0.108090 | -0.369884 | -1.116967 | -1.464333 | -0.292227 |
| Top_minus_Index Return | -0.095998 | -0.324512 | -1.718983 | -2.230768 | -0.295823 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 0.597586 | 4.047962 | -0.147626 | 3.641368 | 6.222446 |
| 2 | 0.708935 | 3.844631 | -0.184396 | 3.329250 | 5.654766 | |
| 3 | 0.777408 | 4.612144 | -0.168557 | 3.490459 | 5.656084 | |
| 4 | 0.424449 | 1.774818 | -0.239151 | 2.160127 | 3.282764 | |
| 5 | 0.287597 | 1.342441 | -0.214235 | 1.655659 | 2.397662 | |
| 2011-12-31 | 1 | 0.090560 | 0.425453 | -0.212854 | 0.722918 | 0.958543 |
| 2 | 0.136725 | 0.691598 | -0.197694 | 0.924568 | 1.245396 | |
| 3 | 0.133680 | 0.652539 | -0.204861 | 0.881750 | 1.206132 | |
| 4 | 0.055891 | 0.257961 | -0.216663 | 0.427546 | 0.548659 | |
| 5 | 0.004723 | 0.022548 | -0.209488 | 0.104482 | 0.133395 | |
| 2012-12-31 | 1 | 0.163102 | 1.904104 | -0.085658 | 1.417162 | 2.226990 |
| 2 | 0.210497 | 2.073913 | -0.101497 | 1.573175 | 2.316406 | |
| 3 | 0.107332 | 0.925726 | -0.115944 | 0.901286 | 1.297696 | |
| 4 | 0.205045 | 1.953503 | -0.104963 | 1.468859 | 2.132212 | |
| 5 | 0.154120 | 1.672074 | -0.092173 | 1.198189 | 1.689785 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | 0.492368 | 2.455316 | -0.200531 | 2.724513 | 4.204999 |
| Top_minus_Bottom Return | -0.195958 | -0.698537 | -0.280527 | -1.885851 | -2.379268 | |
| Top_minus_Index Return | -0.170444 | -0.719908 | -0.236758 | -2.831837 | -3.523685 | |
| 2011-12-31 | Factor_Weighted Return | 0.071755 | 0.360269 | -0.199170 | 0.564817 | 0.729932 |
| Top_minus_Bottom Return | -0.081073 | -0.467188 | -0.173534 | -0.909683 | -1.235055 | |
| Top_minus_Index Return | -0.074571 | -0.583947 | -0.127701 | -1.405534 | -1.855366 | |
| 2012-12-31 | Factor_Weighted Return | 0.164032 | 1.852138 | -0.088564 | 1.360787 | 1.933595 |
| Top_minus_Bottom Return | -0.009806 | -0.116476 | -0.084193 | -0.066506 | -0.090878 | |
| Top_minus_Index Return | -0.012325 | -0.209390 | -0.058863 | -0.219711 | -0.306127 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.123 | 0.614 | 0.765 |
| Quantile 2 Mean Turnover | 0.154 | 0.770 | 0.794 |
| Quantile 3 Mean Turnover | 0.158 | 0.791 | 0.795 |
| Quantile 4 Mean Turnover | 0.154 | 0.772 | 0.795 |
| Quantile 5 Mean Turnover | 0.126 | 0.628 | 0.784 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.876 | 0.38 | 0.038 |
Ds Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 0.000000 | 54.137252 | 19.111616 | 10.358058 | 69012 | 20.22792 |
| 2 | 8.821598 | 69.112936 | 37.972553 | 11.792476 | 68040 | 19.94302 |
| 3 | 14.779690 | 80.913239 | 51.993902 | 13.354450 | 68040 | 19.94302 |
| 4 | 20.889116 | 88.908284 | 65.290701 | 12.995945 | 68040 | 19.94302 |
| 5 | 32.536037 | 100.000000 | 81.578019 | 10.717326 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | 0.001 | -0.003 | -0.007 |
| IC Std. | 0.084 | 0.091 | 0.089 |
| Risk-Adjusted IC | 0.010 | -0.029 | -0.077 |
| t-stat(IC) | 0.312 | -0.892 | -2.401 |
| p-value(IC) | 0.755 | 0.373 | 0.017 |
| IC Skew | -0.091 | -0.004 | -0.023 |
| IC Kurtosis | 0.140 | 0.378 | 0.427 |
| IC>0 Prob | 0.503 | 0.483 | 0.469 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.020 | -0.012 | -0.003 |
| beta | 1.016 | 1.008 | 0.999 |
| Ann. alpha (000300 based) | -0.020 | -0.012 | -0.003 |
| beta (000300 based) | 1.016 | 1.008 | 0.999 |
| Mean Period Wise RateReturn Top Quantile (bps) | 5.603 | 6.387 | 7.173 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 9.521 | 8.581 | 7.654 |
| Mean Period Wise Spread (bps) | -3.918 | -2.259 | -0.538 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.260739 | -0.215817 | 1.882438 | 2.811162 | 1.208151 |
| 2 | 0.334853 | -0.222574 | 1.989867 | 2.979998 | 1.504456 |
| 3 | 0.376604 | -0.189633 | 2.164259 | 3.236580 | 1.985957 |
| 4 | 0.198721 | -0.260020 | 1.232503 | 1.728350 | 0.764253 |
| 5 | 0.139563 | -0.213597 | 0.975201 | 1.342498 | 0.653396 |
| Factor_Weighted Return | 0.240673 | -0.200412 | 1.618560 | 2.290783 | 1.200889 |
| Top_minus_Bottom Return | -0.098561 | -0.385823 | -0.987162 | -1.327280 | -0.255457 |
| Top_minus_Index Return | -0.096817 | -0.336539 | -1.742114 | -2.291400 | -0.287685 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 0.583838 | 3.665321 | -0.159287 | 3.526762 | 5.992558 |
| 2 | 0.714661 | 4.793455 | -0.149091 | 3.416176 | 5.758442 | |
| 3 | 0.827228 | 4.362250 | -0.189633 | 3.703096 | 6.112849 | |
| 4 | 0.410039 | 1.724858 | -0.237724 | 2.062389 | 3.122192 | |
| 5 | 0.272078 | 1.273796 | -0.213597 | 1.572181 | 2.270523 | |
| 2011-12-31 | 1 | 0.077700 | 0.360083 | -0.215785 | 0.627420 | 0.830822 |
| 2 | 0.103355 | 0.464364 | -0.222574 | 0.717096 | 0.963074 | |
| 3 | 0.201882 | 1.155569 | -0.174704 | 1.262462 | 1.745402 | |
| 4 | 0.030847 | 0.118634 | -0.260020 | 0.273282 | 0.348247 | |
| 5 | 0.012053 | 0.065258 | -0.184700 | 0.155943 | 0.200814 | |
| 2012-12-31 | 1 | 0.144451 | 1.669675 | -0.086514 | 1.311215 | 2.046537 |
| 2 | 0.232861 | 2.451223 | -0.094998 | 1.704675 | 2.560297 | |
| 3 | 0.120084 | 1.092275 | -0.109940 | 0.965398 | 1.371882 | |
| 4 | 0.184923 | 1.744499 | -0.106004 | 1.359293 | 1.978784 | |
| 5 | 0.158127 | 1.654699 | -0.095562 | 1.226495 | 1.724435 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | 0.495571 | 2.472755 | -0.200412 | 2.733430 | 4.209541 |
| Top_minus_Bottom Return | -0.199152 | -0.706236 | -0.281990 | -1.858985 | -2.409814 | |
| Top_minus_Index Return | -0.180436 | -0.728262 | -0.247763 | -2.935216 | -3.699416 | |
| 2011-12-31 | Factor_Weighted Return | 0.078027 | 0.393467 | -0.198307 | 0.606047 | 0.786177 |
| Top_minus_Bottom Return | -0.063967 | -0.331396 | -0.193023 | -0.688252 | -0.960729 | |
| Top_minus_Index Return | -0.068039 | -0.498633 | -0.136450 | -1.335263 | -1.786341 | |
| 2012-12-31 | Factor_Weighted Return | 0.166476 | 1.860038 | -0.089502 | 1.373524 | 1.957516 |
| Top_minus_Bottom Return | 0.010269 | 0.143843 | -0.071391 | 0.159584 | 0.222332 | |
| Top_minus_Index Return | -0.008853 | -0.158488 | -0.055858 | -0.154515 | -0.220662 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.119 | 0.597 | 0.757 |
| Quantile 2 Mean Turnover | 0.153 | 0.764 | 0.792 |
| Quantile 3 Mean Turnover | 0.157 | 0.787 | 0.798 |
| Quantile 4 Mean Turnover | 0.153 | 0.767 | 0.789 |
| Quantile 5 Mean Turnover | 0.122 | 0.608 | 0.786 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.883 | 0.416 | 0.041 |
Js Dropped 2.8% entries from factor data: 2.8% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 35.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | -13.333333 | 53.155004 | 14.240655 | 11.235653 | 69012 | 20.22792 |
| 2 | 1.045660 | 72.353342 | 35.674637 | 13.724738 | 68040 | 19.94302 |
| 3 | 7.657986 | 85.584008 | 52.122686 | 15.746466 | 68040 | 19.94302 |
| 4 | 17.120402 | 95.346985 | 67.733836 | 14.971994 | 68040 | 19.94302 |
| 5 | 26.682540 | 113.333333 | 86.236124 | 11.952487 | 68040 | 19.94302 |
Information Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| IC Mean | 0.003 | 0.004 | -0.002 |
| IC Std. | 0.087 | 0.092 | 0.087 |
| Risk-Adjusted IC | 0.038 | 0.042 | -0.027 |
| t-stat(IC) | 1.171 | 1.306 | -0.853 |
| p-value(IC) | 0.242 | 0.192 | 0.394 |
| IC Skew | 0.020 | 0.330 | 0.124 |
| IC Kurtosis | 0.089 | 0.510 | 0.924 |
| IC>0 Prob | 0.513 | 0.487 | 0.481 |
| Observation | 972.000 | 972.000 | 972.000 |
<Figure size 432x288 with 0 Axes>
Returns Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Ann. alpha | -0.013 | -0.003 | -0.000 |
| beta | 1.009 | 1.000 | 0.987 |
| Ann. alpha (000300 based) | -0.013 | -0.003 | -0.000 |
| beta (000300 based) | 1.009 | 1.000 | 0.987 |
| Mean Period Wise RateReturn Top Quantile (bps) | 7.591 | 7.963 | 7.386 |
| Mean Period Wise RateReturn Bottom Quantile (bps) | 9.174 | 8.250 | 7.502 |
| Mean Period Wise Spread (bps) | -1.583 | -0.358 | -0.189 |
All Time Technique Index
| annual_return | max_drawdown | sharpe_ratio | sortino_ratio | calmar_ratio | |
|---|---|---|---|---|---|
| 1 | 0.249722 | -0.217530 | 1.809290 | 2.655831 | 1.147990 |
| 2 | 0.348565 | -0.219968 | 2.051472 | 3.105822 | 1.584619 |
| 3 | 0.287587 | -0.255421 | 1.724817 | 2.490276 | 1.125934 |
| 4 | 0.217282 | -0.216904 | 1.332879 | 1.876725 | 1.001742 |
| 5 | 0.197818 | -0.209357 | 1.306898 | 1.853222 | 0.944880 |
| Factor_Weighted Return | 0.246931 | -0.204384 | 1.659384 | 2.356507 | 1.208172 |
| Top_minus_Bottom Return | -0.044231 | -0.232721 | -0.385489 | -0.549214 | -0.190060 |
| Top_minus_Index Return | -0.050549 | -0.193141 | -0.829013 | -1.143236 | -0.261718 |
Year Wise Technique Index
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | 1 | 0.637614 | 4.302011 | -0.148213 | 3.722850 | 6.240106 |
| 2 | 0.703167 | 4.027800 | -0.174578 | 3.315445 | 5.637550 | |
| 3 | 0.546408 | 2.696673 | -0.202623 | 2.740758 | 4.409066 | |
| 4 | 0.443625 | 2.045260 | -0.216904 | 2.146968 | 3.195208 | |
| 5 | 0.427179 | 2.040428 | -0.209357 | 2.275813 | 3.423765 | |
| 2011-12-31 | 1 | 0.040444 | 0.190275 | -0.212555 | 0.364103 | 0.475401 |
| 2 | 0.148021 | 0.672921 | -0.219968 | 0.969557 | 1.318805 | |
| 3 | 0.112787 | 0.441575 | -0.255421 | 0.763852 | 0.997333 | |
| 4 | 0.073837 | 0.363547 | -0.203102 | 0.551798 | 0.721689 | |
| 5 | 0.045265 | 0.242732 | -0.186483 | 0.380108 | 0.501089 | |
| 2012-12-31 | 1 | 0.110140 | 1.441863 | -0.076387 | 1.053210 | 1.563354 |
| 2 | 0.222306 | 2.334194 | -0.095239 | 1.698297 | 2.569212 | |
| 3 | 0.226577 | 2.377355 | -0.095306 | 1.611621 | 2.345869 | |
| 4 | 0.145856 | 1.214445 | -0.120101 | 1.098478 | 1.560872 | |
| 5 | 0.137934 | 1.619639 | -0.085164 | 1.102395 | 1.584753 |
| annual_return | calmar_ratio | max_drawdown | sharpe_ratio | sortino_ratio | ||
|---|---|---|---|---|---|---|
| date | ||||||
| 2010-12-31 | Factor_Weighted Return | 0.497843 | 2.435817 | -0.204384 | 2.750685 | 4.225463 |
| Top_minus_Bottom Return | -0.131539 | -0.668676 | -0.196715 | -1.107976 | -1.522004 | |
| Top_minus_Index Return | -0.080521 | -0.642653 | -0.125295 | -1.135563 | -1.526965 | |
| 2011-12-31 | Factor_Weighted Return | 0.090181 | 0.460650 | -0.195770 | 0.689564 | 0.901417 |
| Top_minus_Bottom Return | 0.001690 | 0.016133 | -0.104764 | 0.064708 | 0.096415 | |
| Top_minus_Index Return | -0.036992 | -0.325554 | -0.113627 | -0.662007 | -0.963551 | |
| 2012-12-31 | Factor_Weighted Return | 0.167675 | 1.842265 | -0.091015 | 1.377328 | 1.970080 |
| Top_minus_Bottom Return | 0.023307 | 0.324785 | -0.071762 | 0.302384 | 0.444262 | |
| Top_minus_Index Return | -0.026409 | -0.388215 | -0.068026 | -0.511577 | -0.698720 |
Turnover Analysis
| 1D | 5D | 20D | |
|---|---|---|---|
| Quantile 1 Mean Turnover | 0.137 | 0.688 | 0.766 |
| Quantile 2 Mean Turnover | 0.156 | 0.780 | 0.798 |
| Quantile 3 Mean Turnover | 0.159 | 0.795 | 0.797 |
| Quantile 4 Mean Turnover | 0.155 | 0.773 | 0.797 |
| Quantile 5 Mean Turnover | 0.140 | 0.701 | 0.788 |
| 1D | 5D | 20D | |
|---|---|---|---|
| Mean Factor Rank Autocorrelation | 0.848 | 0.237 | 0.033 |
rsis Dropped 100.0% entries from factor data: 2.8% in forward returns computation and 97.2% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
--------------------------------------------------------------------------- MaxLossExceededError Traceback (most recent call last) <ipython-input-159-3038a46c741b> in <module> 3 print(i) 4 factor_path=r'./factors/{}.csv'.format(i) ----> 5 alphalens_run(factor_path,pricing_path) <ipython-input-107-ec422ccdb590> in alphalens_run(factor_path, pricing_path) 24 25 # Ingest and format data ---> 26 factor_data = alphalens.utils.get_clean_factor_and_forward_returns(my_factor, 27 pricing_, 28 quantiles=5, c:\Projects\alphalens\alphalens\utils.py in get_clean_factor_and_forward_returns(factor, prices, groupby, binning_by_group, quantiles, bins, periods, filter_zscore, groupby_labels, max_loss, zero_aware, cumulative_returns) 916 ) 917 #以forward_returns 作base，mereg factor ,然后dropna --> 918 factor_data = get_clean_factor(factor, forward_returns, groupby=groupby, 919 groupby_labels=groupby_labels, 920 quantiles=quantiles, bins=bins, c:\Projects\alphalens\alphalens\utils.py in get_clean_factor(factor, forward_returns, groupby, binning_by_group, quantiles, bins, groupby_labels, max_loss, zero_aware) 740 message = ("max_loss (%.1f%%) exceeded %.1f%%, consider increasing it." 741 % (max_loss * 100, tot_loss * 100)) --> 742 raise MaxLossExceededError(message) 743 else: 744 print("max_loss is %.1f%%, not exceeded: OK!" % (max_loss * 100)) MaxLossExceededError: max_loss (35.0%) exceeded 100.0%, consider increasing it.